An Empirical Analysis On Price Relationship Between China's And International Soybean Futures Markets

Since 1996, the importing amount of soybean has mounted up sharply from 0.58 million tons to 22 million in 2004, the extent reaching 37 times, moreover, the importing amount in 2004 accounts for 125% against the domestic output. However, the global price sharply fluctuates and the range has increased during the process of mounting import. The high risk arising from the fluctuation of prices in the international market, has contributed to the competition of fixing the price among the main soybean trading countries. As one of the main manufacturing countries and the biggest importing country, what role can China play in the international market as for the right of price establishment? Does it play a leading part, a participant or only a receiver? What kind of the price influence relation exists in the international market?This paper aims at the analysis of price relationship between China's and international soybean futures market, which is to study if China's futures price is significantly positively correlated with international futures price, and if the futures markets of the soybean have Co-integration relationship. Moreover what kind of price influence relationship and information conduct relationship exists in the soybean futures markets ? On the basis of the above objectives, this paper apply the VAR modal to test the relationship between China's futures price and the America's & Japan's by virtue of Co-intergration test, Granger causal relationship test, Impulse Response Function and Variance decomposition according to the theories of market integration and fluctuation overflow. It is concluded that the futures prices between these futures are significantly positively correlated with each other and the correlation coefficient is more than 90%; and these futures exist Co-intergration relationship. Therefore, related information can be conducted rapidly and these futures can run efficiently and effectively, implying China's soybean futures has become one part of the world futures market; however, regarding to the price fix right, the influence of China's soybean futures against the global soybean futures is limited. the price change of China's future market cannot become the one of the reasons of the America's. Chicago soybean futures play a leading part in fixing the price in the three global futures, while China's is still a receiver.This paper is going to apply the modal of vector VAR to the analysis of futures market prices in the international market. However, the influencing factors of forming the price relationship hasn't been deeply analyzed, which need to be studied fatherly.